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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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The conglomerate discount : a new explanation based on credit risk
Ammann, Manuel; Verhofen, Michael - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1201-1214
Persistent link: https://www.econbiz.de/10003397165
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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Credit risk and incomplete information : filtering and EM parameter estimation
Fontana, Claudio; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 683-715
Persistent link: https://www.econbiz.de/10008904347
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Stochastic intensity modeling for structured credit exotics
Chapovsky, Alexander; Rennie, Andrew; Tavares, Pedro - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 633-652
Persistent link: https://www.econbiz.de/10003503353
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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A closed-form extension to the Black-Cox model
Alfonsi, Aurélien; Lelong, Jérôme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30
Persistent link: https://www.econbiz.de/10009706338
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Optimal capital structure with scale effects under spectrally negative Lévy models
Surya, Budhi Arta; Yamazaki, Kazutoshi - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10010363903
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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958